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James and Andrew pretty often go by the full names. I don't think that's a big worry with those names.

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Edward, Joseph and Kenneth, those seem to go by nicknames as a matter of course.

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I wouldn't necessarily rule out using a name because of the nn. You can always use the full name at home, but you do have to accept that once the child grows up and has friends and goes to school, you no longer have control over what he is called by others. And he may himself decide on what he wants to be called.

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Penelope is not common in the US, and it may be tricky to pronounce, and it is definitely a mouthful, so yes, you will probably have to accept that other people will call her Penny or something else less complicated. It's the risk you take choosing a long, difficult and/or unfamiliar name.

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As for Adelaide, I say if you like Adele and Alice as nns, just skip Adelaide and use Adele or Alice. Frankly, the idea of using Alice, especially, as a nn for Adelaide is kind of an intellectual pretention. Alice may indeed have started out a thousand years ago as a nn for Adelaide, but it has been a full name in its own right for many centuries, and to insist on it as a nn for Adelaide seems like you are trying to show off how name-nerdy you are and how uneducated anybody is who questions your assertion that Alice is a nn for Adelaide, when the two names don't sound remotely alike.